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Market fragility and the paradox of the recent stock-bond dissonance

Koulovatianos, Christos; Li, Jian; Weber, Fabienne - In: Economics letters 162 (2018), pp. 162-166

Persistent link: https://www.econbiz.de/10011939827

Predicting Bond Betas Using Macro-Finance Variables

Aslanidis, Nektarios - 2018

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long-term government bonds, investment grade corporate bonds, and high yield corporate bonds. We conduct out-of-sample forecasting using the new approach of combining predictor variables...

Persistent link: https://www.econbiz.de/10012934945

Regime shifts in a long-run risks model of stock and treasury bond markets

Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570

Persistent link: https://www.econbiz.de/10013453608

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

of climate risks. This paper introduces a model of climate risk hedging and estimates that approximately three percent of …

Persistent link: https://www.econbiz.de/10015181854

"Good" inflation, "bad" inflation : implications for risky asset prices

Bonelli, Diego; Palazzo, Berardino; Yamarthy, Ram S. - 2025

Persistent link: https://www.econbiz.de/10015271346

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702

A mixed bond and equity fund model for the valuation of variable annuities

Augustyniak, Maciej; Godin, Frédéric; Hamel, Emmanuel - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 131-159

Persistent link: https://www.econbiz.de/10012437276

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates … changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …

Persistent link: https://www.econbiz.de/10012422545

Speculation and the bond market : an empirical no-arbitrage framework

Barillas, Francisco; Nimark, Kristoffer P. - 2015

Persistent link: https://www.econbiz.de/10011399218

Consumption-based asset pricing

Campbell, John Y. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001736827